Title :
Examples of optimal control for nonlinear stochastic control problems with partial information
Author :
Charalambou, Charalambos D. ; Elliott, Robert J.
Author_Institution :
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Abstract :
Partially observable stochastic optimal control problems are considered. It is shown, via an information state approach and dynamic programming, that several classes of nonlinear systems with nonlinearities in the dynamics give linear feedback optimal control laws. These are the analogs of linear-exponential-quadratic-Gaussian (LEQG) and linear-quadratic-Gaussian (LQG) tracking problems
Keywords :
dynamic programming; feedback; nonlinear control systems; optimal control; stochastic systems; LEQG tracking problems; LQG tracking problems; dynamic programming; information state approach; linear feedback optimal control laws; linear-exponential-quadratic-Gaussian tracking problems; linear-quadratic-Gaussian tracking problems; nonlinear stochastic control problems; nonlinear systems; partial information; partially observable stochastic optimal control; Cost function; Dynamic programming; Filtration; Linearity; Nonlinear systems; Optimal control; Partial differential equations; State feedback; Statistics; Stochastic processes;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480527
